Phar said it before. You need the rename your game file to 東方紅魔郷
I renamed my file to th06e and got this error too.
EDIT : MoF Normal cleared. With ReimuA (heh). First try (I got a lot of practice from clearing Extra stages).
Didn't die until Sanae. I hate Sea Opening. Then I got cocky and tried to force my way through a wall of bullets (though I did micrododge those lines of bullets she throws twice). Died once to Kanako, on the knife spellcard thing.
I captured Mountain of Faith too. In fact, that's her only spellcard I captured. It was BY FAR the easiest of her spellcard for me. No stupid misdirecting bullets around, and creating walls because I don't know how, just good old dodging skills and unfocusing at random.
I also went for points. I wanted that 150 millions points life, so I bombed whenever my faith started going down (this game encourages bomb-spam, so bomb-spam I did). It didn't go as expected though. I got it when I had max lives. And I finished with 400 million points anyway (5 lives in stock).
Here's the replay in case anyone's interested. Pretty obvious I don't know what the hell I'm doing, especially in stage 5.
ReplayEDIT 2 : Lol WTF. The replay says I'm playing at 0 or 5 FPS, then jumps to 128 FPS. This is probably because the game was flashing all the time. I'm playing fullscreen and didn't close the folder with all the games' shortcuts, so it must have kept on trying to get in front of the game's window.